The value of fundamentals in agricultural futures markets : an event study approach using WASDE Reports

• Autor(a) principal: Gonçalves, João Afonso Maia
• Data de Publicação: 2014
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/16927
• topic: Event study; WASDE; NASS; Impact; CBOT; Euronext; Futures; Return variance; Estudos de evento; Impacto; Futuros; Variância do retorno; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

The purpose of this dissertation is to study the impact and information value of the World Agricultural Supply and Demand Estimates (WASDE) reports in soybeans, wheat and corn futures contracts traded in the Chicago Board of Trade (CBOT) and in wheat and corn futures contracts traded in Euronext over the period 1998 to 2012. The research is based on an event study approach, with the "events" consisting of all monthly WASDE reports releases. Overall, for CBOT commodities, results suggest that WASDE reports months including National Agricultural Statistics Service (NASS) crop production estimates have the largest impact; causing return variance on report sessions to be between 4 and 7 times greater than normal return variance. For the group of months including only WASDE reports, the impact is substantially smaller. The CBOT results also show that the impact of WASDE reports has decreased in the sample sub-period from 2006 through 2009. This period observed unprecendented agricultural prices volatily, with the largest inflow of money into agricultural commodities futures in history. Also, a new market participant, index traders, came to play a major role in agricultural futures market structure. For Euronext commodities, results indicate that WASDE reports have a much smaller impact. However, a similar pattern to the one evidenced in CBOT is found, since WASDE and NASS reports months also have the largest impact; causing return variance on report sessions to be about double than normal. The Euronext results suggest that the impact of WASDE reports has increased over time.